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The available models are ARCH (Engle, 1982), GARCH (Bollerslev, 1986), EGARCH (Nelson, 1991), GJR (Glosten et al., 1993), APARCH (Ding et al., 1993), IGARCH (Engle and Bollerslev, 1986), FIGARCH (Baillie et al., 1996a and Chung, 1999), FIEGARCH (Bollerslev and Mikkelsen, 1996), FIAPARCH (Tse, 1998) and HYGARCH (Davidson, 2001). This package provides a lot of features unavailable in most traditional econometric softwares, including various model specifications, two standard errors estimation methods (Approximate Maximum Likelihood and Approximate Quasi-Maximum Likelihood) and four distributions (normal, Student-t, GED or skewed Student-t). Moreover, ARCH-in-mean models are available and explanatory variables can enter the mean and/or the variance equations. Finally, h-steps-ahead forecasts of both the conditional mean and variance are available as well as many miss-specification tests (Nyblom, SBT, Pearson goodness-of-fit, Box-Pierce,...).
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